Related papers: Finite Markov chains and multiple orthogonal polyn…
The spatial symmetry property of truncated birth-death processes studied in Di Crescenzo [6] is extended to a wider family of continuous-time Markov chains. We show that it yields simple expressions for first-passage-time densities and…
This paper provides full classification of dynamics for continuous time Markov chains (CTMCs) on the non-negative integers with polynomial transition rate functions. Such stochastic processes are abundant in applications, in particular in…
This work focuses on time-inhomogeneous Markov chains with two time scales. Our motivations stem from applications in reliability and dependability, queueing networks, financial engineering and manufacturing systems, where two-time-scale…
A sequence of real numbers (x_n) is Benford if the significands, i.e. the fraction parts in the floating-point representation of (x_n) are distributed logarithmically. Similarly, a discrete-time irreducible and aperiodic finite-state Markov…
There is a well-established theory linking certain semi-Markov chains and continuous-time random walks to time-fractional equations and anomalous diffusion. In this work, we go beyond the semi-Markov framework by considering some…
In this manuscript, new algebraic and analytic aspects of the orthogonal polynomials satisfying $R_{II}$ type recurrence relation given by \begin{align*} \mathcal{P}_{n+1}(x) = (x-c_n)\mathcal{P}_n(x)-\lambda_n…
We use orthogonality measures of Askey--Wilson polynomials to construct Markov processes with linear regressions and quadratic conditional variances. Askey--Wilson polynomials are orthogonal martingale polynomials for these processes.
In previous papers, we discussed the recurrence relations of the multi-indexed orthogonal polynomials of the Laguerre, Jacobi, Wilson, Askey-Wilson, Racah and $q$-Racah types. In this paper we explore those of the Meixner-Pollaczek and…
Expanding upon the rich history of algebraic techniques in probability, we show the existence of and construct a Markov chain using the Hopf square map on a quantum group that is both non-commutative and non-cocommutative. This extends the…
This paper defines the multivariate Krawtchouk polynomials, orthogonal on the multinomial distribution, and summarizes their properties as a review. The multivariate Krawtchouk polynomials are symmetric functions of orthogonal sets of…
We propose a new approach for estimating the finite dimensional transition matrix of a Markov chain using a large number of independent sample paths observed at random times. The sample paths may be observed as few as two times, and the…
In this paper, we develop algorithms for computing the recurrence coefficients corresponding to multiple orthogonal polynomials on the step-line. We reformulate the problem as an inverse eigenvalue problem, which can be solved using…
A combinatorial theory for type $R_I$ orthogonal polynomials is given. The ingredients include weighted generalized Motzkin paths, moments, continued fractions, determinants, and histories. Several explicit examples in the Askey scheme are…
We justify and discuss expressions for joint lower and upper expectations in imprecise probability trees, in terms of the sub- and supermartingales that can be associated with such trees. These imprecise probability trees can be seen as…
We construct a set $H$ of orthogonal polynomial sequences that contains all the families in the Askey scheme and the $q$-Askey scheme. The polynomial sequences in $H$ are solutions of a generalized first-order difference equation which is…
We review a recent development at the interface between discrete mathematics on one hand and probability theory and statistics on the other, specifically the use of Markov chains and their boundary theory in connection with the asymptotics…
For a relatively large class of well-behaved absorbing (or killed) finite Markov chains, we give detailed quantitative estimates regarding the behavior of the chain before it is absorbed (or killed). Typical examples are random walks on…
We investigate multivariate regular variation in the context of time-homogeneous Markov chains on general vector spaces and in random coefficient linear models. In the first part, we show that the regular variation of the stationary…
We introduce and analyse a new family of multiple orthogonal polynomials of hypergeometric type with respect to two measures supported on the positive real line which can be described in terms of confluent hypergeometric functions of the…
We provide necessary and sufficient conditions for the Hessenberg recurrence matrix associated with a system of multiple orthogonal polynomials to admit a factorisation as a product of bidiagonal matrices. Using the Gauss-Borel…